Open Source Risk Management Software
List of Open Source Risk Management Software
A preliminary list of projects (both big and small) that adopt the open source licensing model in the development of software relevant for risk management. The scope of the list is roughly speaking the domain of practice commonly denoted as Quantitative Risk Management.
In order to keep the list finite:
- it does not include general purpose open source projects (e.g. Python Scipy / Scikit etc.) even though they might be essential dependencies
- does not include broader finance / infrastructure projects (e.g. pricing libraries, blockchain etc), again even if those may be essential dependencies
- does not include projects that are exclusively spreadsheet implementations (does not fit the concept of a well defined and maintainable piece of software, even if some spreadsheets may encode very sophisticated models)
The list does not include yet smaller libraries solving very specific problems. We envisage to add those in due course, especially via contributions!
The focus of this list on open source code/models/algorithms. Data resources useful for building / calibrating open source models are listed in Open Risk Data. You can help us maintain this list up-to-date by submitting additions / corrections (Use info at openrisk eu). Submissions should have a publicly accessible URL (link) in one of the public repositories hosting open source projects.
NB: This list of Open Source Risk Management Software is provided as-is without any implied endorsement or validation of the suitability, originality, accuracy or completeness of said resources for any purpose.
|1. Name||2. Description||3. Language||4. URL|
|Pyliferisk||A python library for life actuarial calculations||Python||github|
|ESGtoolkit||Tools for Economic Scenario Generation||R||github|
|GVARX||Estimation and inference of stationary Global Vector Autoregression models||R||CRAN|
|QuantEcon||Open source code for quantitative economic modeling||Python, Julia||github|
|GaR||IMF Growth at Risk Model||Python, Excel||github|
|GVAR||Global VAR modeling||matlab||Sourceforge|
|PSCF||Public Sector Credit Framework||C++||github|
|CCruncher||Open-Source Project for Credit Risk Modeling||R||sourceforge|
|pyfolio||A Python library for performance and risk analysis of financial portfolios||Python||github|
|RiskNetwork||Bayesian Network approach to Project Risk Management||R||github|
|Open Source Risk Engine||A transparent peer-reviewed framework for pricing and risk analysis||C++||github|
|OpenGamma/Strata||Open source analytics and market risk library from OpenGamma||Java||github|
|Open Risk API||An application programming interface for risk quantification||Python, C++||github|
|xVA||Calculates Credit Risk Valuation Adjustments||R||github|
|SACCR||R package implementing the SA-CCR Basel III Regulation||R||github|